An algorithm for linear complementarity and its application in american options pricing

Liming Feng; Vadim Linetsky; José Luis Morales; Jorge Nocedal

doi:10.1063/1.3241350

An algorithm for linear complementarity and its application in american options pricing

Liming Feng^*, Vadim Linetsky, José Luis Morales, Jorge Nocedal

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Original language	English (US)
Title of host publication	Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009
Pages	1400-1402
Number of pages	3
DOIs	https://doi.org/10.1063/1.3241350
State	Published - Nov 26 2009
Event	International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009 - Rethymno, Crete, Greece Duration: Sep 18 2009 → Sep 22 2009

Publication series

Name	AIP Conference Proceedings
Volume	1168
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Other

Other	International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009
Country/Territory	Greece
City	Rethymno, Crete
Period	9/18/09 → 9/22/09

ASJC Scopus subject areas

Physics and Astronomy(all)

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10.1063/1.3241350

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Feng, L., Linetsky, V., Morales, J. L., & Nocedal, J. (2009). An algorithm for linear complementarity and its application in american options pricing. In Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009 (pp. 1400-1402). (AIP Conference Proceedings; Vol. 1168). https://doi.org/10.1063/1.3241350

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author = "Liming Feng and Vadim Linetsky and Morales, {Jos{\'e} Luis} and Jorge Nocedal",

year = "2009",

month = nov,

day = "26",

doi = "10.1063/1.3241350",

language = "English (US)",

isbn = "9780735407091",

series = "AIP Conference Proceedings",

pages = "1400--1402",

booktitle = "Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009",

note = "International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009 ; Conference date: 18-09-2009 Through 22-09-2009",

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Feng, L, Linetsky, V, Morales, JL & Nocedal, J 2009, An algorithm for linear complementarity and its application in american options pricing. in Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009. AIP Conference Proceedings, vol. 1168, pp. 1400-1402, International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009, Rethymno, Crete, Greece, 9/18/09. https://doi.org/10.1063/1.3241350

An algorithm for linear complementarity and its application in american options pricing. / Feng, Liming; Linetsky, Vadim; Morales, José Luis; Nocedal, Jorge.

Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009. 2009. p. 1400-1402 (AIP Conference Proceedings; Vol. 1168).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

TY - GEN

T1 - An algorithm for linear complementarity and its application in american options pricing

AU - Feng, Liming

AU - Linetsky, Vadim

AU - Morales, José Luis

AU - Nocedal, Jorge

PY - 2009/11/26

Y1 - 2009/11/26

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T3 - AIP Conference Proceedings

SP - 1400

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BT - Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009

T2 - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009

Y2 - 18 September 2009 through 22 September 2009

ER -

An algorithm for linear complementarity and its application in american options pricing

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